Group messaging is a feature which was unavailable on Windows Phone 7 but now a 3rd party app, gMsg was making it possible.

gMsg can export the user’s Google’s contact list or from Outlook and performing much more operations.
This application can greatly simplify the task of group messaging from the phone itself by incorporating the contact management tools with proper managing and assignment of tasks.

This application has some additional features which are:

Messages are stored so the user knows what has been sent and to whom

Max recipient handling using back button to iterate

Select multiple groups and further filter contacts within that group

View ungrouped Google contacts and group them on the go

According to the developer of this app, it has a limitation to send messages to only 10 at a time and also in some other feature this app allows categorizing the ungrouped contacts into existing grouped lists.

Download the app from HERE or search for it in marketplace on your device.